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ArticleNonstationary nonlinear heteroskedasticity in regression

Heetaik Chung2006

Article2006

Nonstationary nonlinear heteroskedasticity in regression

Heetaik Chung · Joon Young Park

31 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Advanced Statistical Methods and Models

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1986Understanding spurious regressions in econometrics 1992Canonical Cointegrating Regressions 2001Nonlinear Regressions with Integrated Time Series 2005Stochastic volatility : selected readings 2006Stochastic Volatility: Selected Readings

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2015Testing for structural change under non‐stationary variances 2012Robustifying multivariate trend tests to nonstationary volatility 2010Cointegrating Regressions with Time Heterogeneity

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Year2006

Typearticle

Published2006-07-08

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations31

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2006.01.002

openalex_workW2019858642

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